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multifactor-models

  1. Nicole Seaman

    P2.T9.20.4. Factors: rebalancing, style and more volatility risk

    Learning objectives: Assess methods of mitigating volatility risk in a portfolio and describe challenges that arise when managing volatility risk. Explain how dynamic risk factors can be used in a multifactor model of asset returns, using the Fama French model as an example. Compare value and...
  2. Nicole Seaman

    P2.T9.20.2. Factor theory: stochastic discount factors

    Learning objectives: Describe multifactor models and compare and contrast multifactor models to the CAPM. Explain how stochastic discount factors are created and apply them in the valuation of assets. Describe efficient market theory and explain how markets can be inefficient. Questions...
  3. David Harper CFA FRM

    P1.T1.20.10. Multifactor models of risk-adjusted asset returns

    Learning objectives: Explain the arbitrage pricing theory (APT), describe its assumptions and compare the APT to the CAPM. Describe the inputs (including factor betas) to a multifactor model. Calculate the expected return of an asset using a single-factor and a multifactor model. Explain models...
  4. Nicole Seaman

    P2.T8.701. Multifactor models (Andrew Ang)

    Learning objectives: Describe multifactor models, and compare and contrast multifactor models to the CAPM. Explain how stochastic discount factors are created and apply them in the valuation of assets. Describe efficient market theory and explain how markets can be inefficient. Questions...
  5. Nicole Seaman

    P1.T1.704. Bodie's multifactor models

    Learning objectives: Describe the inputs, including factor betas, to a multifactor model. Calculate the expected return of an asset using a single-factor and a multifactor model. Questions 704.1. Suppose that three factors have been identified for the U.S. economy: Expected inflation rate...
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